Application of the Family of Sign RCA Models for Obtaining the Selected Risk Measures
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References listed on IDEAS
- Timotheos Angelidis & Stavros Degiannakis, 2007. "Backtesting VaR Models: An Expected Shortfall Approach," Working Papers 0701, University of Crete, Department of Economics.
- Bollerslev, Tim, 1986.
"Generalized autoregressive conditional heteroskedasticity,"
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- Carlo Acerbi & Dirk Tasche, 2002. "Expected Shortfall: A Natural Coherent Alternative to Value at Risk," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 379-388, July.
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KeywordsFamily of Sign RCA Models; risk measures; Value at Risk; Expected Shortfall.;
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